The story begins with Fetch already in Curden Cay and Augustine trying to talk to her. This will set in motion a flashback to two years earlier, where Fetch and her brother, Brent, are talking about doing one last job, until some cops arrive. When you gain control, walk over to the other cop and then press Circle to dash away when prompted.
Keep dashing until a short scene occurs and you'll regain control again. This time, you'll need to evade the police, which might prove difficult with a helicopter on your tail. Keep dashing and look for something that you can hide under, like an overpass or a building. Once you're out of sight, stay there until Fetch calls up her brother.
It turns out that Fetch wants to do the job, so Brent reluctantly tells her where to go. A marker (a pink "F") will appear on your map now, so head there and press the Touch Pad to attempt to go inside, only to find it locked. You can now blast it open using your Neon Bolts, which is mapped to the R2 button.
Once inside, it seems some others are there to steal the duffel bag and set their guns on you. Use your Neon Bolts and melee abilities to take out all the enemies, then go to the bed and pick up the duffel bag. After regaining control, head to the neon sign nearby and hit the Touch Pad to drain it.
You will have full control again and Brent says to get back to the boat. On the way there, he'll tell you to stay away, but keep continuing to the boat, where you'll see a cutscene and then be back in Curden Cay.
